Classical risk process a-stable processes ruin probability severity of ruin expected discounted penalty Gerber-Shiu function
Issue Date:
2011
Publisher:
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 20, No 1, (2011), 121p-134p
Abstract:
In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin, and the Gerber-Shiu penalty function as a generalization of these measures. We discuss results on these measures for classical and perturbed classical risk processes.
